[1]} establish the near-minimax optimality of SMUCE
as given in Propositions REF –REF ,
under the exponential family regression model with the parameter
varying over time in a piecewise constant manner,
and discuss an efficient implementation of the optimisation problem in (REF )
via dynamic programming.
For the canonical segmentation problem,
[2]} and [3]} address the issues arising from
heteroscedasticity and serial dependence in \(\lbrace \varepsilon _t\rbrace _{t = 1}^n\) , respectively.
